Macquarie Structured Securities (Europe) Public Limited ...Jul 31, 2017 · As ultimately an indirect subsidiary of Macquarie Group Limited ('MGL'), the Company manages risk within

Macquarie Structured Securities (Europe) Public Limited Company Company Registration Number 489855

Annual Report and Financial Statements for the financial year ended 31 March 2017 0

MACQUARIE

[he Company's registered office is: First Floor Connaught House 1 Burlington Road Dublin 4 Ireland

Macquarie Structured Securities (Europe) Public Limited Company

2017 Directors' Report and Financial Statements Contents

Page Directors' Report 2 Independent Auditors' Report to the members of Macquarie Structured Securities (Europe) Public Limited Company [I Financial Statements Profit and loss account 10 Balance sheet 11 Statement of changes in equity 12 Notes to the financial statements Note 1. Summary of significant accounting policies 13 Note 2. Profit on ordinary activities before taxation 16 Note 3. Interest receivable and similar income 16 Note 4. Interest payable and similar charges 16 Note 5. Income tax expense 16 Note 6. Financial assets at fair value through profit or loss 17 Note 7. Debtors 17 Note 8. Cash at bank 17 Note 9. Creditors: amounts falling due within one year 17 Note 10. Creditors: amounts falling due after more than one year 18 Note 11. Called up share capital presented as equity 18 Note 12. Profit and loss account 18 Note 13. Directors' remuneration 18 Note 14. Financial risk management 19 Note 15. Fair values of financial assets and liabilities 23 Note 16. Segmental reporting 24 Note 17. Contingent liabilities and commitments 25 Note 18. Employee information 25 Note 19. Ultimate holding company 25 Note 20. Events after the reporting period 25 Note 21. Approval of accounts 25

VA


Directors' Report for the financial year ended 31 March 2017

In accordance with a resolution of the directors (the Directors) of Macquarie Structured Securities (Europe) Public Limited Company (the "Company"), the Directors submit herewith the financial statements of the Company and report as follows:

Directors and Secretaries The Directors who each held office as a Director of the Company throughout the year and until the date of this report, unless disclosed otherwise, were:

K Burgess (appointed on 17 March 2017) J Crawford (resigned on 4 April 2017) J Dyckhoff (resigned on 17 March 2017) G Livermore (appointed on 4 April 2017) B Wheatley

At the date of this report and throughout the year, unless disclosed otherwise, the Secretary of the Company Is: H Everitt

Principal activity The principal activity of the Company during the financial year ended 31 March 2017 was to manage structured products.

Results The profit attributable to ordinary equity holders of the Company for the year ended 31 March 2017 was €7500 (2016: €7500).

Dividends paid or provided for No dividends were paid or provided for during the financial year (2016: €nil).

State of affairs and review of operations The profit attributable to ordinary equity holders of the Company for the year ended 31 March 2017 was €7,500 (2016: €7,500).

Net profit before tax for the year ended 31 March 2017 was €10,000, equal to the profit in the previous year.

There were no significant changes In the state of the affairs of the Company that occurred during the financial year under review not otherwise disclosed in this report.

Events after the reporting period At the date of this report the Directors are not aware of any matter or circumstance which has arisen that has significantly affected or may significantly affect the operations of the Company, the results of those operations or the state of affairs of the Company in the financial year subsequent to 31 March 2017 not otherwise disclosed in this report.

Macquarie Structured Securities (Europe) Public Limited Company 2017 Directors' Report


Directors' Report for the financial year ended 31 March 2017 (continued)

Likely developments, business strategies and prospects As a result of the cessation of issuance of new products and offers of already Issued products by the Company, it is anticipated that the outstanding balance of both the financial liabilities at fair, value through profit or loss and associated financial assets at fair value through profit or loss will decline over future financial years.

While no new business is being written, the Company is expected to continue in operational existence for the foreseeable future in managing the existing portfolio and accordingly the Directors have considered that it remains appropriate to prepare the accounts on a going concern basis.

Creditor payment policy It is the Company's policy to agree the terms of payment to creditors at the start of business with that supplier, ensure that suppliers are aware of the terms of payment and to pay in accordance with its contractual and other legal obligations.

Principal risks and uncertainties The principal risks of the Company relating to the outstanding financial liabilities are managed through the Hedge Transaction Agreement with its intermediate holding company, Macquarie Bank Limited ('MBL"), which holds an Investment Grade credit rating. From the perspective of the Company, the remaining risks and uncertainties are integrated with the principal risks of the Macquarie Group. The Board of Directors has overall responsibility for the establishment and oversight of the Company's risk management framework.

Financial risk management Risk is an Integral part of the Macquarie Group's businesses. The Company is exposed to a variety of financial risks that Include the effects of credit risk, liquidity risk, operational risk and market risk. Additional risks faced by the Company include legal, compliance and documentation risk. Responsibility for management of these risks lies with the Individual businesses giving rise to them. It Is the responsibility of the Risk Management Group ('RMG") to ensure appropriate assessment and management of these risks.

As ultimately an indirect subsidiary of Macquarie Group Limited ('MGL'), the Company manages risk within the framework of the overall strategy and risk management structure of the Macquarie Group. RMG is independent of all other areas of the Macquarie Group, reporting directly to the Managing Director and the Board of MGL. The Head of RMG is a member of the Executive Committee of MGL. RMG authority is required for all material risk acceptance decisions. RMG identifies, quantifies and assesses all material risks and sets prudential limits. Where appropriate, these limits are approved by the Executive Committee and the Board of MGL.

The risks which the Company Is exposed to are managed on a globally consolidated basis for MGL as a whole, Including all subsidiaries, In all locations. Macquarie's internal approach to risk ensures that risks in subsidiaries are subject to the same rigour and risk acceptance decisions.

Credit risk Credit exposures, approvals and limits are controlled within the Macquarie Group's credit risk framework, as established by the RMG. Credit approvals are processed within this framework and limits are set in accordance with current practices. Daily monitoring occurs using the standard framework, with exposure Information fed by the risk management system.

Macquarie Structured Securities (Europe) Public Limited Company 2017 Directors Report



Financial risk management (continued) Liquidity risk

The Directors have adopted the risk model used by the Macquarie Group, as approved by RMG. This model is incorporated into the Macquarie Groups risk management systems to enable the Company to manage this risk effectively.

Market risk

The Directors have adopted the risk model used by the Macquarie Group, as approved by RMG. This model is incorporated into the Macquarie Groups risk management systems to enable the Company to manage this risk effectively. The Company has also entered into a Hedge Transaction Agreement with MBL which it utilises to manage market risk resulting from issuances on the Italian market.

Interest rate risk

The Company has both Interest bearing assets and interest bearing liabilities. Interest bearing assets Include cash balances and receivables from other Macquarie Group undertakings, all of which earn a variable rate of interest, Interest bearing liabilities include payables to other Macquarie Group undertakings and external parties, which also incur a variable rate of interest.

Foreign exchange risk

The Company has foreign exchange exposures which Include amounts receivable from and payable to other Macquarie Group undertakings which are denominated in non-functional currencies. Any material non-functional currency exposures are managed by applying a group wide process of minimising exposure at an individual company level.

Directors' and secretary's interests in shares The Directors and Secretary had no interests in the shares of the Company or any other Macquarie group company that are required by the Companies Act 2014 to be recorded in the register of Interests or disclosed in the Directors report.

Macquarie Structured Securities (Europe) Public Limited Company 2017 Directors Report


Company Registration Number 489855


Corporate Governance Statement Introduction The Company is subject to and complies with Irish Statute comprising the Companies Act 2014 and the Transparency (Directive 2004-109-EC) Regulations 2007. The Company does not apply additional requirements in addition to those required by the above.

Financial reporting process The Board of Directors ('the Board") is responsible for establishing and maintaining adequate internal control and risk management systems of the Company in relation to the financial reporting process. Such systems are designed to manage rather than eliminate the risk of failure to achieve the Company's financial reporting objectives and can only provide reasonable and not absolute assurance against material misstatement or loss, The Board has established processes regarding internal control and risk management systems to ensure its effective oversight of the financial reporting process. The Company's overall control system around the financial reporting process includes: • clearly defined organisation structure with reporting mechanisms to the Board; • a comprehensive set of policies and procedures, in line with the Macquarie Group, relating to the

control around financial reporting and the process of preparing the financial statements; and • ensuring the integrity of the financial statements arid the accounting policies therein,

The Board evaluates and discusses significant accounting and reporting issues as the need arises.

Risk assessment the Board is responsible for assessing the risk of irregularities whether caused by fraud or error in financial reporting and ensuring the processes are in place for the timely identification of Internal and external matters with a potential effect on financial reporting. The Board has also put in place processes to Identify changes in accounting rules and recommendations and to ensure that these changes are accurately reflected in the Company's financial statements.

Control activities The Board are responsible for ensuring the design and implementation of control structures to manage the risks which they judge to be significant for internal control over financial reporting. As such, the Company has adopted the control standards and policies of the Macquarie Group. These control structures include appropriate division of responsibilities and specific control activities, with the objective of detecting or preventing the risk of significant deficiencies in financial reporting for every significant account in the financial statements and the related notes in the Company's annual report.

Monitoring The Board and Audit Committee have an annual process to ensure that appropriate measures are taken to consider and address the shortcomings Identified and measures recommended by the Independent auditors.

On a periodic basis the Group Internal Audit function performs a review of controls and procedures employed by the Macquarie Group in order for the Board to perform effective monitoring and oversight of the internal control and risk management systems of the Company in relation to the financial reporting process. The Board has a process to ensure that appropriate measures are taken to consider and address the shortcomings Identified and measures recommended by these risk-based reviews,




Corporate Governance Statement (continued) Audit Committee Statutory audits in Ireland are regulated by the European Communities (Statutory Audits) (Directive 2006/43/EC) Regulations, 2010 (SI. 220 of 2010) which require the Company to establish an audit committee.

The Audit Committee meets a minimum of once a year and holds such additional meetings as the Chairman of the Committee deems appropriate In order to fulfil its duties. It monitors the financial reporting process, the statutory audit of the annual accounts and the effectiveness of the Macquarie Groups internal controls, It informs the board of the outcome of the statutory audit, periodically reviews the independence of the external auditor and makes recommendations regarding their appointment and removal.

The Audit Committee also reviews and considers the key matters arising from the statutory audit and addresses any issues and recommendations made by the external auditor.

Accounting records The measures taken by the Directors to secure compliance with the Company's obligation to keep adequate accounting records include the use of appropriate systems and procedures and employment of competent persons. The accounting records are kept at First Floor, Connaught House, 1 Burlington Road, Dublin 4, Ireland.

Auditors The auditors, PricewaterhouseCoopers, will be re-appointed in accordance with Section 383(2) of the Companies Act 2014.

Statement of Directors' responsibilities The Directors are responsible for preparing the Directors' Report and the financial statements in accordance with applicable Irish law.

Irish law requires the Directors to prepare financial statements for each financial year that give a true and fair view of the Company's assets, liabilities and financial position as at the end of the financial year and of the profit or loss of the Company for the financial year. Under that law the Directors have prepared the financial statements in accordance with Generally Accepted Accounting Practice in Ireland including Financial Reporting Standard 101 Reduced Disclosure Framework' ("FRS 101") (accounting standards issued by the Financial Reporting Council

and promulgated by the Institute of Chartered Accountants in Ireland and Irish law).

Under Irish law the Directors shall not approve the financial statements unless they are satisfied that they give a true and fair view of the Company's assets, liabilities and financial position as at the end of the financial year and of the profit or loss of the Company for that year.

In preparing these financial statements, the Directors are required to: • select suitable accounting policies and apply them consistently; • make judgements and estimates that are reasonable and prudent; • state whether the financial statements have been prepared in accordance with applicable accounting standards and identify the standards in question, subject to any material departures from these standards being disclosed and explained in the financial statements; and

• prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.




Statement of Directors' responsibilities (continued) The Directors are responsible for keeping adequate accounting records that are sufficient to: • correctly record and explain the transactions of the Company; • enable, at any time, the assets, liabilities, financial position and profit or loss of the Company to be determined

with reasonable accuracy; and • enable the Directors to ensure that the financial statements comply with the Companies Act 2014 and enable

those financial statements to be audited.

The Directors are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other Irregularities.

Disclosure of information to auditors In the case of each Director in office at the date the Directors Report Is approved: • so far as the Director is aware, there is no relevant audit Information of which the Company's audi tors are unaware; and

• they have taken all the steps that they ought to have taken as a Director In order to make themselves aware of any relevant audit information and to establish that the Company's audilors are aware of that information

Directors' compliance statement The Directors acknowledge that they are responsible for securing the Company's compliance with Its relevant obligations.

The Directors confirm that they have:

1) Drawn up a compliance policy statement setting out the Company's policies respecting compliance by the Company with Its relevant obligations.

2) Put In place appropriate ruisogements or structures that are designed to secure material compliance with the Company's relevant obligations.

3) Conducted a review, during the financial year ended 31 March 2017, of the arrangements and structures, referred to at 2 above.

On behalf of the Board

Director

2 July 2017 25Jufy2017

Macquarie Structured Securities (Europe) Public Limited Company 2017 Dlrcctrs' Report

IM"la Independent auditors' report to Structured Securities (Europe) Plc

Report on the financial statements

the members of Macquarie

In our opinion, Macquarie Structures Securities (Europe) plc's financial statements (the "financial statements"):

• give a true and fair view of the company's assets, liabilities and financial position as at 31 March 2017 and of its profit for the year then ended;

• have been properly prepared in accordance with Generally Accepted Accounting Practice in Ireland; and

• have been properly prepared in accordance with the requirements of the Companies Act 2014.

The financial statements, included within the Annual Report and Financial Statements, comprise:

. the balance sheet as at 31 March 2017;

• the profit and loss account for the year then ended;

• the statement of changes in equity for the year then ended; and

• the notes to the financial statements, which include a summary of significant accounting policies and other explanatory information.

The financial reporting framework that has been applied in the preparation of the financial statements is Irish law and accounting standards issued by the Financial Reporting Council and promulgated by the Institute of Chartered Accountants in Ireland (Generally Accepted Accounting Practice in Ireland), including FRS 101 'Reduced Disclosure Framework".

In applying the financial reporting framework, the directors have made a number of subjective judgements, for example in respect of significant accounting estimates. In making such estimates, they have made assumptions and considered future events.

Matters on which we are required to report by the Companies Act 2014

• We have obtained all the information and explanations which we consider necessary for the purposes of our audit.

• In our opinion the accounting records of the company were sufficient to permit the financial statements to be readily and properly audited.

• The financial statements are in agreement with the accounting records.

• In our opinion the information given in the directors' report is consistent with the financial statements.

Matter on which we are required to report by exception

Under the Companies Act 2014 we are required to report to you if, in our opinion, the disclosures of directors' remuneration and transactions specified by sections 305 to 312 of that Act have not been made. We have no exceptions to report arising from this responsibility.

PricewaterhouseCoopers, One Spencer Dock, North Wall Quay, Dublin i, Ireland, I.D.E. Box No. 137 T. +353 (0)1 792 60oo, F: +353 (0)1 792 6200, www.pwc.ie

Chartered Accountants

PWC

Independent auditors' report to the members of Macquarie Structured Securities (Europe) Plc - continued

Responsibilities for the financial statements and the audit

As explained more fully in the statement of directors responsibilities set out on pages 6 and 7, the directors are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view.

Our responsibility is to audit and express an opinion on the financial statements in accordance with Irish law and International Standards on Auditing (UK and Ireland). Those standards require us to comply with the Auditing Practices Board's Ethical Standards for Auditors.

This report, including the opinions, has been prepared for and only for the company's members as a body in accordance with section 391 of the Companies Act 2014 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

We conducted our audit in accordance with International Standards on Auditing (UK and Ireland). An audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of:

whether the accounting policies are appropriate to the company's circumstances and have been consistently applied and adequately disclosed;

• the reasonableness of significant accounting estimates made by the directors; and

• the overall presentation of the financial statements.

We primarily focus our work in these areas by assessing the directors' judgements against available evidence, forming our own judgements, and evaluating the disclosures in the financial statements.

We test and examine information, using sampling and other auditing techniques, to the extent we consider necessary to provide a reasonable basis for us to draw conclusions. We obtain audit evidence through testing the effectiveness of controls, substantive procedures or a combination of both.

In addition, we read all the financial and non-financial information in the directors' report to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report.

LIV4 John Bligh for and on behalf of PricewaterhouseCoopers Chartered Accountants and Statutory Audit Firm Dublin 28 July 2017


Financial Statements

Profit and loss account for the financial year ended 31 March 2017

2017 2016

Notes € €

Interest receivable and similar income 3 50,424 717,233

Interest payable and similar charges 4 (51,460) (71 7,495)

Net interest expense (1,036) (262)

Net (losses)/gains on financial liabilities held at fair value through profit or loss (387,300) 336,877

Net gains/(losses) on financial asset held at fair value through profit or loss 387,300 (336,877)

Other operating income 2 11,036 10,282

Profit on ordinary activities before taxation 10,000 10,000 Tax on profit on ordinary activities 5 (2,500) (2,600)

Profit on ordinary activities after taxation 7,500 7,600

The above profit and toss account should be read In conjunction with the accompanying notes, which form an Integral part of the financial statements.

There were no other comprehensive Income and expenses other than those included in the results above and therefore no separate statement of comprehensive income has been presented.

Macquarie Structured Securities (Europe) Public Limited Company 2017 Financial Statements 10


Balance Sheet as at 31 March 2017

2017 2016 Notes € €

Assets Financial assets at tar value through profit or loss 5 12579,642 12,649,936 (including 31 March 2016: €12,849,938 due otter one year) Debtors 7 44,812 351,566 Cash at bank 8 40,028 40.307 Total assets 12,684,482 13,041,509

Current liabilities Creditors: amounts failing due within one year 9 (12,579,642) (314,533)

Total assets loss current ft abIlities 84,840 12,727,278

Creditors: amounts felling duo otter more than one year 10 - (12,640,036)

Net assets 84,040 77,340

Capital and reserves Called up share capital presented as equity 11 40,000 401000 Pttillt and loss account 12 44,040 37,340 Total shareholders' Funds 13 84,840 77,340

The above balance shoot should be read In conjunction with the accompanying notes, which form an integral part of the financial statements.

The tnanclal statements on pages 10 to 25 were authorised for Issue by the Board of Directors 2 5 OULI 2017 and were signed on Its behalf by:



Statement of changes in equity for the financial year ended 31 March 2017

Called up share capital presented Profit and loss

as equity account Total equity

€ €

Balance at 1 April 2015 40,000 29,840 69,840

Profit after income tax - 7,500 7,500

Other comprehensive income, net of tax - -

Balance at 31 March 2016 40,000 37,340 77,340

Balance at 1 April 2016 40,000 37,340 77,340 Profit after income tax - 7,500 7,500 Other comprehensive income, net of lax - - -

Balance at 31 March 2017 40,000 44,840 84,840

The above statement of changes in equity should be read In conjunction with the accompanying notes, which form an integral part of the financial statements,



Notes to the financial statements for the financial year ended 31 March 2017

Note 1. Summary of significant accounting policies

The Company is a private company and is incorporated and domiciled in Ireland. The address of its registered office is First Floor Connaught House, 1 Burlington Road, Dublin 4, Ireland.

I) Basis of preparation The financial statements have been prepared on the going concern basis and in accordance with Irish GMP, (accounting standards issued by the Financial Reporting Council and promulgated by the Institute of Chartered Accountants In Ireland and the Companies Act 2014). The financial statements comply with Financial Reporting Standard 101 • Reduced Disclosure Framework ('FRS 101") and the Companies Act 2014 (the Act").

FRS 101 sets out a reduced disclosure framework for a 'qualifying entity' as defined in FRS 101 which addresses the financial reporting requirements and disclosure exemptions in the financial statements of qualifying entities that otherwise apply the recognition, measurement and disclosure requirements of European Union (EU') adopted international Financial Reporting Standards (iFRS").

The Company Is a qualifying entity for the purposes of FRS 101. Note 19 gives details of the Company's parent and from where its consolidated financial statements prepared in accordance with IFRS may be obtained.

The principal accounting policies adopted in the preparation of these financial statements and that of the previous financial year are Set out below. These policies have been consistently applied to all the financial years presented, unless otherwise stated.

The company has availed of a number of exemptions from the disclosure requirements of IFRS in the preparation of these financial statements, In accordance with FRS 101. in accordance with FRS 101 the company has availed of an exemption from the following paragraphs of IERS: • The requirements of IAS 7 'Statement of Cash Rows; • The requirements of paragraphs 30 and 31 of VS 8 'Accounting Policies, Changes in Accounting Estimates and Errors'

(disclosure of information when an entity has not applied a new IFRS that has been issued but is not yet effective); • The requirements of paragraph 17 of lAS 24 Related Party Disclosures (key management compensation); and • The requirements of lAS 24 to disclose related party transactions entered Into between two or more members of a group

where both parties to the transaction are wholly owned within the group.

ii) Critical accounting estimates and significant judgements The preparation of the financial statement in conformity with FRS 101 requires the use of certain critical accounting estimates. It also requires management to exercise judgement In the process of applying the accounting policies. The notes to the financial statements set out areas Involving a higher degree of judgement or complexity, or areas where assumptions are significant to the Company and the financial statements such as (air value of financial assets and liabilities.

Estimates and judgments are continually evaluated and are based on historical experience and other factors, Including reasonable expectations of future events.

Management believes the estimates used in preparing the financial statements are reasonable. Actual results In the future may differ from those reported and therefore it is reasonably possible, on the basis of existing knowledge, that outcomes within the next financial year that are different from our assumptions and estimates could require an adjustment to the carrying amounts of the assets and liabilities reported.



Notes to the financial statements for the financial year ended 31 March 2017 (continued)

Note 1. Summary of significant accounting policies (continued)

Historical cost convention The financial statements have been prepared under the historical cost convention, as modified by certain other assets and liabilities at fair value.

iii) Foreign currency translations Functional and presentation currency Items included in the financial statements of foreign operations are measured using the currency of the primary economic environment in which the foreign operation operates (the'functional currency'). The Company's financial statements are presented in Euro (the 'presentation currency"), which is the Company's functional currency.

Transactions and balances Foreign currency transactions are recorded in the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation at year and exchange rates of monetary assets and liabilities denominated in foreign currencies are recognised in the profit and loss account.

iv) Revenue and expense recognition Revenue is measured at the fair value of the consideration received or receivable. Revenue is recognised for the major business activities as follows:

Net interest income/expense Interest Income/expense is brought to account using the effective Interest method. The effective interest method calculates the amortised cost of a financial Instrument and allocates the interest income or expense over the relevant period. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial instrument or, when appropriate, a shorter period, to the net carrying amount of the financial asset or liability.

V) Gains and losses on trading assets and liabilities Gains and losses related to other financial assets/liabilities at fair value through profit or loss includes all realised and unrealised fair value changes and foreign exchange differences.

vi) Other operating income Other operating Income for the year includes the annual fees and expense reimbursements received from MDL in respect of the administration of the structured bond Issuances, which Is accounted for on an accruals basis.

vii) Taxation The principles of the balance sheet method of tax effect accounting have been adopted whereby the income tax expense for the financial year is the tax payable on the current year's taxable income adjusted for changes In deferred tax assets and liabilities attributable to temporary differences between the tax bases of assets and liabilities and their carrying amounts in the financial statements and unused tax losses.




Note 1. Summary of significant accounting policies (continued)

viii) Investments and other financial assets Financial assets at fair value through profit or loss This category includes only those financial assets which have been designated by management as held at fair value through profit or loss on initial recognition. The policy of management is to designate a financial asset as such if the asset contains embedded derivatives which must otherwise be separated and carried at fair value; if it is part of a group of financial assets managed and evaluated on a fair value basis; or if by doing so eliminates, or significantly reduces, a measurement or recognition Inconsistency that would otherwise arise, Interest Income on debt securities designated as at fair value through profit or loss is recognised In the profit and loss account in interest income using the effective interest method as disclosed in Note 1 (lv). Accrued interest which is unpaid at the year and date is shown separately as part of Debtors.

ix) Financial liabilities Financial liabilities at fair value through profit or loss This category includes only those financial liabilities which have been designated by management as held at fair value through profit or loss on initial recognition. The policy of management is to designate a financial liability as such if: the liability contains embedded derivatives which must otherwise be separated and carried at fair value; the liability is part of a group of financial liabilities managed and evaluated on a fair value basis; or if by doing so eliminates, or significantly reduces, a measurement or recognition inconsistency that would otherwise arise. Interest expense on such items is recognised in the profit and loss account in interest expense using the effective Interest method. Accrued interest which Is unpaid at the year end date Is shown separately as part of Creditors failing due within one year.

X) Cash at bank Cash at bank comprise balances on call held with other Macquarie Group undertakings.

xi) Offsetting financial assets and liabilities Financial assets and financial liabilities are offset and the net amount reported on the balance sheet when there is a legally enforceable right to offset the recognised amounts and there Is an Intention to settle on a net basis, or realise the financial asset and settle the financial liability simultaneously.

xii) Called up share capital Ordinary shares are classified as equity. Incremental costs directly attributable to the Issue of new shares are shown in equity as a deduction, net of tax, from the proceeds.




2017 2016

€ €

Note 2. Profit on ordinary activities before taxation

Profit on ordinary activities before taxation is stated after crediting:

Foreign exchange gains (272) (612) Internal foes received from other Macquarie Group undertaking (14,716) (9650)

The profit on ordinary activities before taxation does not include amounts for auditors remuneration. The following amounts were accrued and subsequently paid by MEIL for the services rendered in relation to the Company during the years ended 31 March 2017 and 31 March 2016.

Auditors' remuneration (excl VAT and including expenses)

Fees payable to the Company's auditors for the audit of the Company 13,800 13,800

Auditors' remuneration (including expenses) of €13,800 Is payable in respect of the statutory audit of the financial statements. There are no other fees paid or payable by the Company to the Statutory Audit firm in the current or prior years.

Note 3. Interest receivable and similar income

Interest receivable from other Macquarie Group undertakings:

- financial assets at fair value through profit or loss 50,392 717,220

- others 32 13

Total interest receivable and similar income 50,424 717,233

Note 4. Interest payable and similar charges

Interest payable to other Macquarie Group undertakings 1,068 275

Interest payable on financial liabilities at fair value through profit or loss 50,392 717,220

Total interest payable and similar charges 51,460 717,495

Note 5. Income tax expense

Analysis of tax charge for the year:

Current tax

Irish corporation tax 2,500 2,500 Total current tax 2,500 2,500

The effective taxation rate for the year ended 31 March 2017 is higher (2016: higher) Than the standard rate of corporation tax in Ireland of 12.5% (2016: 12.5%). The differences are explained below:

Profit on ordinary activities before taxation 10,000 10,000

Profit on ordinary activities before taxation multiplied by standard rate of

corporation tax in Ireland of 12.5% (2016: 12.5%) (1,250) (1,250)

Effects of:

Section 110 of the Taxes Consolidation Act, 1997 (1,250) (1250) Total tax charge (2,500) (2,500)

The Company Is qualifying company within the meaning of Section 110 of the Irish Taxes Consolidation Act 1997. As such the profits are chargeable to corporation tax under Case III of Schedule 0 at a rate of 25%, but are computed in accordance with the provisions applicable to Case I of Schedule D.




2017 2016

€

Note 6. Financial assets at fair value through profit or loss

Financial assets at fair value through profit or loss held with other Macquarie Group undertakings 12,579,642 12,649,936 Total other financial assets at fair value through profit or loss 12,579642 12,649,936

These assets have a remaining term to maturity of less than one year and currently have a coupon rate of 0%. Changes in the fair value of the assets are based on movements in underlying European equity security prices. Payments on maturity of each instrument may be dependent upon the price and relative price of specific European equity securities during and at the maturity of the instrument. The formula Involved In calculating the payment on each instrument varies across the instruments held by the Company.

Note 7. Debtors

Amounts owed by other Macquarie Group undertakings 44,812 39,530

Coupon receivable on financial assets at fair value through profit or loss held with other Macquarie Group undertakings

- - - - 312,033

Total debtors 44,812 351,563

Amounts owed by other Macquarie Group undertakings are unsecured and have no fixed data of repayment. The Company earns interest on intercompany loans to group undertakings and at 31 March 2017 the rate applied was LIBOR plus 1,26% (March 2018: LIBOR plus 1.17% and LIBOR plus 1.47%).

Note 8. Cash at bank

Balance held with other Macquarie Group undertakings 40,028 40,307 Total cash at bank 40,028 40,307

Amounts held with other Macquarie Group undertakings are held at call. The Company earns interest on these balances and at 31 March 2017, the rate applied was LIBOR plus 1.26% (March 2016: LIBOR plus 1.17%).

Note 9. Creditors: amounts falling due within one year

Financial liabilities at fair value through profit or loss* 12,579,642

Coupon payable on financial liabilities at fair value through profit or loss - 312,033 Amount owed to other Macquarie Group undertakings" - 2,500

Total creditors: amounts falling due within one year 12,579,642 314,533

'These liabilities have a remaining term to maturity of less than one year and currently have a coupon rate of 0%. Changes in the fair value of the liabilities are based on movements in underlying European equity security prices. Payments on maturity of each instrument may be dependent upon the price and relative price of specific European equity securities during and at the maturity of the instrument. The formula involved in calculating the payment on each instrument varies across the instruments issued by the Company.

Amounts owed to other Macquarie Group undertakings are unsecured and have no fixed date of repayment. The Company incurred Interest on amounts to other Macquarie Group undertakings at market rates and at 31 March 2016 the rate applied was LIBOR plus 1.62%.




2017 2018 € €

Note 9. Creditors: amounts falling due within one year (continued)

The table below details further Information regarding the notes outstanding as at 31 March 2017 and 31 March 2016 Nominal amount

2017 2018 Notes in issue Interest rate Legal maturity date € € AOVRRP 3%-6% 21 April 2017 10,195,000 10,195,000 A1GSKK 3%-6% 8 June 2017 1,340,000 1,726,000 A1GWKE 0%-6% 19 October 2017 799,000 823,000

Note 10. Creditors: amounts falling due after more than one year

Financial liabilities at fair value through profit or loss (Refer note 9) - 12,849,936 Total creditors; amounts falling due after more than one year - 12,849,936

Note 11. Called up share capital presented as equity

2017 2016 2017 2016

Number of Number of shares shares € IF

Ordinary share capital Opening balance of fully paid ordinary shares 40,000 40,000 40,000 40,000 Closing balance of fully paid ordinary shares 40,000 40,000 40,000 40,000 presented as equity

Authorised share capital Ordinary shares of €1 each 100,000 100,000 100,000 100,000 Total authorised share capital 100,000 100,000 100,000 100,000

Note 12. Profit and loss account

Profit and loss account Balance at the beginning of the financial year 37,340 29,840 Profit attributable to ordinary equity holders of Macquarie Structured Securities (Europe) Public Limited Company 7,500 7,500 Balance at the end of the financial year 44,840 37,340

Note 13. Directors' remuneration

During the financial years ended 31 March 2017 and 31 March 2016, all Directors were employed by, and received all emoluments from, other Macquarie Group undertakings. The Directors perform directors' duties for multiple entitles in the Macquarie Group, as well as their employment duties within Macquarie Group businesses. Consequently, allocating their employment compensation accurately across all these duties would not be feasible. Accordingly, no separate remuneration has been disclosed.

Macquarie Structured Securities (Europa) Public Limited Company 2017 Financial Statements 18



Note 14. Financial risk management

Risk Management Group

Risk is an integral part of the Macquarie Groups businesses. The main risks faced by the Group are market risk, equity risk credit risk, liquidity risk, operational risk, legal risk and compliance risk. Responsibility for management of these risks lies with the individual businesses giving rise to them. It is the responsibility of the RMG to ensure appropriate assessment and management of these risks.

RMG is independent of all other areas of the Macquarie Group. The Head of RMG, as Macquarie's Chief Risk Officer, Is a member of the Executive Committee of MGL and reports directly to the Managing Director and Chief Executive Officer with a secondary reporting line to the Board Risk Committee. RMG authority is required for all material risk acceptance decisions. RMG Identifies, quantities and assesses all material risks and sets prudential limits. Where appropriate, these limits are approved by the Executive Committee and the Board.

The risks which the Company are exposed to are managed on a globally consolidated basis for MGL as a whole, including all subsidiaries, In all locations. Macquarie's internal approach to risk ensures that risks in subsidiaries are subject to the same rigour and risk acceptance decisions (Le. not differentiating where the risk is taken within Macquarie).

Note 141 Credit risk

Credit risk is defined as the risk of a counterparty failing to complete its contractual obligations when they fall due.

Credit risk within the Company is managed on a group basis by the RMG at MGL. All of the Company's assets are held with other Macquarie Group undertakings, The majority of the balances are with the Company's intermediate holding company with MBL, which holds an Investment Grade credit rating.

Maximum exposure to credit risk

The table below details the concentration of credit exposure of the Company's assets to significant geographical locations and counterparty types. The amounts shown represent the maximum credit risk of the Company's assets.

2017 2018

Financial Financial assets at

assets at fair fair value value through profit

through Cash at or profit or loss Debtors bank Total loss Debtors Cash at bank Total

€ € € € € € €

Australia

Financial Institutions 12,579,642 44,812 40,028 12,664,482 12,649,936 351,586 40,307 13,041,809

Total Australia 12,579,842 44,812 40,028 12,664,482 12,649,938 351,566 40,307 13,041,809

Total gross credit risk 12,579,642 44,812 40,028 12,664,482 12,649,936 351,566 40,307 13,041 809




Note 14. Financial risk management (continued)

Note 14.1 Credit risk (continued)

Credit quality of financial assets

The table below shows the credit quality by class of financial asset for loan related balance sheet lines, based on the Company's credit rating System.

Credit quality - 2017 Neither past due nor

impaired

Investment Grade Unrated Total

€ € €

Financial assets at fair value through profit or loss

Financial institutions 12,579,642 - 12,579,642

Debtors

Financial institutions 44,812 - 44,812

Cash at bank Financial institutions 40,028 - 40,028

Total 12,664,482 - 12,664,482

Credit quality - 2016 Neither past due nor

impaired

Investment Grade Unrated Total

€ € €

Financial assets at fair value through profit or loss

Financial institutions 12,649,936 - 12,649,936

Debtors

Financial institutions 351,566 - 351,566

Cash at bank Financial institutions 40,307 - 40,307

Total 13,041,809 - 13,041,809





Note 14.2 Liquidity risk

Liquidity risk is the risk of an entity encountering difficulty in meeting obligations with financial liabilities.

Liquidity risk within the Company Is managed on a group basis by Group Treasury under the oversight from the MGL Asset and Liability Committee, the MGL Board and RMG. The liquidity risk associated with the outstanding liabilities is managed through the offsetting asset balances with MBL Funds raised on the issuance of notes are Invested in bonds issued by MBL which have identical terms and maturity dates.

Contractual undiscounted cash flows

The table below summarises the maturity profile of the Company's financial liabilities as at 31 March based on contractual undiscounted repayment obligations. For financial liabilities at fair value through profit or loss, the undiscounted cash flows are based on coupon payments and guaranteed redemption amounts, Repayments which are subject to notice are treated as If notice were given immediately.

On Less than 3 3 to 12 demand months months 1 to 5 years Over 5 years Total

2017 € € C € € €

Creditors: amnunts falling due within one year' - - - -

Financial liabilities at fair value through profit or loss** - 11,757,471 822,171 - - 12,579,642

Total undiscounted cash flows 11,757,471 822,171 - - 12,579,642

On Less than 3 3 to 12 demand months months 1 to 5 years Over 5 years Total

2016 F € € € € €

Creditors: amounts falling due within one year 2,500 - - - - 2,500 Financial liabilities at fair value through profit orloss— - 358,610 - 12,744,000 - 13,102610

Total undiscounted cash flows 2,500 358,610 - 12,744,000 - 13,105,110

'Excludes items that are not financial instruments, non-contractual accruals and provisions and interest coupon on financial liabilities at fair value through profit or loss.

"Includes current and non current component with Interest coupon on financial liabilities at fair value through profit or loss.





Note 14.3 Market risk

Market risk is the exposure to adverse changes in the value of the Company's trading portfolios as a result of changes in market prices or volatility. The Company Is exposed to the following risks in each of the major markets in which it trades: - interest rates and debt securities: changes in the level, shape and volatility of yield curves, the basis between different debt securities and derivatives and credit margins; - equities: changes in the price and volatility of Individual equities, equity baskets and equity indices; and - to the correlation of market prices and rates within and across markets, Market risk of the Company Is managed on a globally consolidated basis for Macquarie Group as a whole, including all subsidiaries, in all locations. Macquarle's Internal approach to risk (i.e. not differentiating where the risk is taken within Macquarie) ensures that risks in subsidiaries are subject to the same rigour and risk acceptance decisions.

The Company has also entered into a Hedge Transaction Agreement with MBL which it utilises to manage market risk resulting from issuances on the Italian market. This has hedged all of the market risk and hence the sensitivity to market risk is not presented.

Interest rate risk

The table below Indicates the Company's exposure to movements in Interest rates as at 31 March,

2017 2016 Sensitivity of Sensitivity of

Movement in profit before profit before basis points tax tax

% € €

Euro - 50 449 433 Euro -50 (449) (433)

Foreign currency risk

The Company is exposed to foreign currency risk arising from transactions entered Into in its normal course of business. Movement In foreign currency exchange rates will result in gains or losses in the income statement due to the revaluation of certain balances.

Movement of +10% Movement of -10% 2017 2016 2017 2016

€ € € € Australian dollar (247) (165) 247 165 Great British pound

- (434) (467) 434 467




Note 15. Fair values of financial assets and liabilities

Fair value reflects the amount for which an asset could be exchanged or a liability settled, between knowledgeable, willing parties in an arm's length transaction. Quoted prices or rates are used to determine fair value whore an active market exists. If the market for a financial Instrument is not active, fair values are estimated using present value or other valuation techniques, using inputs based on market conditions prevailing on the measurement date.

The values derived from applying these techniques are affected by the choice of valuation model used and the underlying assumptions made regarding inputs such as timing and amounts of future cash flows, discount rates, credit risk, volatility and correlation.

Financial instruments measured at fair value are categorised in their entirety, in accordance with the levels of the fair value hierarchy as outlined below: Level 1 - quoted prices (unadjusted) in active markets for identical assets or liabilities; Level 2 - valuations based significantly on inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (i.e. as prices) or indirectly (i.e. derived from prices); Level 3 - inputs for the asset or liability that are not based on observable market data (unobservable inputs).

The appropriate level for an Instrument is determined on the basis of the lowest level input that is significant to the fair value measurement.

The following methods and significant assumptions have been applied in determining the fair values of financial instruments: - Financial assets and liabilities at fair value through profit or loss and derivative financial instruments are measured at fair value by reference to quoted market prices when available (e.g. listed securities). If quoted market prices are not available, then fair values are estimated on the basis of pricing models or other recognised valuation techniques.

- For financial instruments carried at fair value the determination of fair value includes credit risk (i.e. the premium over the basic Interest rate). Counterparty credit risk inherent in these instruments is factored into their valuations via credit valuation adjustments ('OVA'). This amount represents the estimated market value of protection required to hedge credit risk from counterparties, taking into account expected future exposures, collateral, and netting arrangements. OVA Is determined when the market price (or parameter) is not indicative of the credit quality of the specific counterparty. Where financial Instruments are valued using an internal model that utilises observable market parameters, market practice is to quote parameters equivalent to an Interbank credit rating (that is, all counterparties are assumed to have the same credit quality). Consequently, a OVA calculation is necessary to reflect the credit quality of each derivative counterparty to arrive at fair value.

Where valuation techniques are used to determine fair values, they are validated and periodically reviewed by qualified personnel independent of the area that created them, All models are certified before they are used, and models are calibrated periodically to test that outputs reflect prices from observable current market transactions in the same instrument or other available observable market data. To the extent possible, models use only observable market data (e.g. for OTC derivatives), however management is required to make assumptions for certain inputs that are not supported by prices from observable current market transactions in the same instrument, such as volatility and correlation.

Macquarie Structured Securities (Europe) Public Limited Company 2017 FInancial Statements 23



Note 15. Fair values of financial assets and liabilities (continued)

The following table summarises the levels of the fair value hierarchy for financial instruments measured at fair value of the Company at 31 March:

Level 1 Level 2 Level 3 Total 2017 € € € €

Assets Financial assets at fair value through profit or loss - (12,579,642) - (12,579,642)

Total assets - (12,579,642) - (12,579,642)

Liabilities

Financial liabilities at fair value through profit or loss - (12,579,642) - (12,579,642)

Total liabilities - (12,579,642) - (12,579,642)

Level 1 Level 2 Level 3 Total 2016 € € € €

Assets Financial assets at fair value through profit or loss - (12,649,936) - (12649,936)

Total assets - (1249,935) - (12,649936)

Liabilities

Financial liabilities at fair value through profit or loss - (12,649,936) - (12,648936)

Total liabilities - (12,649,936) - (12,649936)

Note 16. Segmental reporting

Business segments - turnover All income for the period relates to the Company's activity of the issuance of structured notes.

Geographical segments - turnover Profit/(loss) on ordinary activities before taxation

2017 2016

€ €

United Kingdom 451,875 389,992

Italy (437,692) (380,342)

Other (4,182) 350 Total turnover 10,000 10,000

The geographical segment is determined as the geographical area to which, or from which, Issued products and services are supplied.


Documents

Macquarie Structured Securities (Europe) Public Limited ...Jul 31, 2017 · As ultimately an indirect subsidiary of Macquarie Group Limited ('MGL'), the Company manages risk within